Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1238
Annualized Std Dev 0.2968
Annualized Sharpe (Rf=0%) -0.4171

Row

Daily Return Statistics

Close
Observations 3708.0000
NAs 1.0000
Minimum -0.4444
Quartile 1 -0.0064
Median 0.0000
Arithmetic Mean -0.0003
Geometric Mean -0.0005
Quartile 3 0.0061
Maximum 0.2810
SE Mean 0.0003
LCL Mean (0.95) -0.0009
UCL Mean (0.95) 0.0003
Variance 0.0003
Stdev 0.0187
Skewness -4.4112
Kurtosis 152.5514

Downside Risk

Close
Semi Deviation 0.0144
Gain Deviation 0.0139
Loss Deviation 0.0184
Downside Deviation (MAR=210%) 0.0183
Downside Deviation (Rf=0%) 0.0145
Downside Deviation (0%) 0.0145
Maximum Drawdown 0.9274
Historical VaR (95%) -0.0206
Historical ES (95%) -0.0412
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-02-08 2020-03-18 NA -0.9274 3554 3300 NA
2006-07-21 2006-07-24 2006-12-28 -0.0695 112 2 110
2006-12-29 2007-01-23 2007-01-31 -0.0256 21 15 6
2007-02-01 2007-02-05 2007-02-07 -0.0139 5 3 2
2006-07-06 2006-07-12 2006-07-19 -0.0129 10 5 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 2.1 0.3 0.4 0.4 -0.1 -1 -1.5 0.6
2007 -0.8 0.8 -0.7 1.7 0.8 -0.9 -2 1.9 2.7 -0.7 1.3 0.3 4.6
2008 0.1 -0.9 5.1 0.3 0.4 0.1 3.1 -1 1.8 0 -4.7 2.7 6.9
2009 -0.2 -1 1.7 2.2 2.4 1.8 1.7 -0.2 -0.9 -1.5 1.3 -0.3 7.2
2010 3.2 0.6 1.9 -0.1 2.9 -0.7 0.8 -0.4 1.9 0 0.5 -0.7 10.2
2011 1.6 1 1.2 0.4 -0.8 0 1.5 -0.8 -1 -0.9 -1 0.2 1.5
2012 0.2 -0.8 0.5 0.5 -0.8 1.3 1.1 0.9 -0.6 0 -0.3 -0.4 1.5
2013 0.4 0.4 -0.8 1.4 -1 0.4 -0.3 1.4 1 -0.1 -0.6 -2.5 -0.2
2014 1 0.3 1.2 1.5 0.3 0.1 -0.2 -0.2 -0.8 0.7 -0.8 -0.5 2.5
2015 -1.3 -0.3 -37.3 0.4 0.6 1.2 0 -0.6 -0.5 -0.5 1.9 0.9 -36.2
2016 0.2 1.3 -0.1 1.2 1.5 -0.1 -0.1 -0.8 1.3 0.8 0.5 0 5.7
2017 0.5 0.3 0 -0.6 0.8 0.7 0.5 0.3 0.4 1 0.5 0.1 4.6
2018 0.9 1.1 -0.5 0.6 0.3 -0.2 0.2 0.2 -0.1 1.5 -1.5 -0.5 1.9
2019 -0.2 0.1 0.2 0 -1.5 0.4 -0.3 -0.1 0.2 0.2 0.5 0.1 -0.6
2020 -0.8 -2.6 -3.6 -1.1 4 -2.2 -1.9 1.8 1.5 -0.1 0.9 -0.5 -4.8
2021 -0.2 2.2 0.8 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-26  80   SPY    125.  4.40e-3   0.0107 -0.0215   -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005     0.0341
2 2006-06-27  80   SPY    124. -8.60e-3  -0.0015 -0.0348   -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
3 2006-06-28  80.2 SPY    125.  6.80e-3  -0.0021 -0.0107   -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
4 2006-06-29  80.7 SPY    127.  2.02e-2   0.0226 -0.0019   -0.0195   0.0621    0.304   0.036  GLD    59.5  0.0344    0.031 
5 2006-06-30  82.4 SPY    127. -3.00e-4   0.0224 -0.0117   -0.02     0.0675    0.291   0.0453 GLD    61.2  0.0287    0.0559
6 2006-07-03  83   SPY    128.  4.50e-3   0.0225 -0.00930  -0.0149   0.0692    0.281   0.0514 GLD    62.2  0.0155    0.0669
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart